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Rollovers: (Expiry day): Market-wide roll 76%; Nifty roll 67%
Nifty (down 1.27%) ended the day on a losing note. Market wide rollovers on the last
day stands at ~76% which is line with the average three months rollovers of ~77%. The
January series will start with market wide future OI of ~INR 340 bn as against ~INR 373
bn seen at the start of the December expiry. Being the last day of the expiry, the roll
cost levels in single stock futures expanded to ~95-100 bps (cost to long rollers) in most
of the names.
Nifty witnessed ~67% positions getting shifted to the January series as compared to the
average of ~68% for the last three expiries. Long roll aggression was evident in Nifty.
Nifty roll cost (cost to long rollers) shot up sharply to ~24-25 points during the day. Nifty
January series would start with an OI of ~INR 94 bn (~INR 106bn in December series). At
the start of the January series, Nifty holds an OI of ~403K contracts (~444.6k contracts
in December). In today’s trading session ~21.4k contracts got rolled while ~59.6k
contracts were added in the January series.
Prominent Sectors
Construction (~86%)
Metals (~85%)
Power (~83%)
Prominent Stocks
JSW Steel (94%),
Hindustan Petroleum (89%)
DLF (88%)
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (Expiry day): Market-wide roll 76%; Nifty roll 67%
Nifty (down 1.27%) ended the day on a losing note. Market wide rollovers on the last
day stands at ~76% which is line with the average three months rollovers of ~77%. The
January series will start with market wide future OI of ~INR 340 bn as against ~INR 373
bn seen at the start of the December expiry. Being the last day of the expiry, the roll
cost levels in single stock futures expanded to ~95-100 bps (cost to long rollers) in most
of the names.
Nifty witnessed ~67% positions getting shifted to the January series as compared to the
average of ~68% for the last three expiries. Long roll aggression was evident in Nifty.
Nifty roll cost (cost to long rollers) shot up sharply to ~24-25 points during the day. Nifty
January series would start with an OI of ~INR 94 bn (~INR 106bn in December series). At
the start of the January series, Nifty holds an OI of ~403K contracts (~444.6k contracts
in December). In today’s trading session ~21.4k contracts got rolled while ~59.6k
contracts were added in the January series.
Prominent Sectors
Construction (~86%)
Metals (~85%)
Power (~83%)
Prominent Stocks
JSW Steel (94%),
Hindustan Petroleum (89%)
DLF (88%)
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